Junkee Jeon

Kyung Hee University - Department of Applied Mathematics

1732 Deogyeong-daero, Giheung-gu,

Yongin, 130-701

Korea, Republic of (South Korea)

http://sites.google.com/site/junkeejeon/home

SCHOLARLY PAPERS

17

DOWNLOADS

1,113

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (17)

1.

Optimal Retirement Under Partial Information

Number of pages: 44 Posted: 19 Oct 2020 Last Revised: 08 Jun 2021
Kexin Chen, Junkee Jeon and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 164 (272,232)

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voluntary retirement, portfolio optimization, optimal consumption, optimal stopping, free boundary problem, partial information

2.

Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude

Journal of Economic Theory, Forthcoming
Number of pages: 62 Posted: 23 Oct 2019 Last Revised: 15 Nov 2021
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 147 (297,873)

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consumption irreversibility, intertemporal loss aversion, excess sensitivity and smoothness, asymmetric sensitivities, consumption heterogeneity, U-shaped risky share

3.

Asset Pricing with Consumption Frictions

Number of pages: 44 Posted: 08 Nov 2019 Last Revised: 28 Jun 2021
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 129 (329,686)
Citation 2

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Frictional Consumption, Adjustable Consumption, Asset Pricing, Habit Model, Intertemporal Loss Aversion, Hansen-Scheinkman Decomposition

4.

Optimal Long-term Contracts with Disability Insurance under Limited Commitment

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 48 Posted: 18 Jul 2019 Last Revised: 24 Feb 2022
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics, Kwangwoon University - Department of Mathematics and Academia Sinica - Institute of Economics
Downloads 112 (365,192)

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Disability Insurance, Limited Commitment, Truth-telling, Dynamic Contracting, Incentives

5.

Intertemporal Preference with Loss Aversion: Aggregate Consumption and Asset Management

Number of pages: 28 Posted: 12 Jun 2019 Last Revised: 13 Jan 2020
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 96 (405,230)

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Consumption irreversibility, intertemporal loss aversion, consumption autocorrelation, asset management, durable good, multiple goods

6.

Horizon Effect on Optimal Retirement Decision

Quantitative Finance, Forthcoming
Number of pages: 50 Posted: 07 Sep 2021 Last Revised: 12 Sep 2022
Junkee Jeon, Minsuk Kwak and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Department of Mathematics, Hankuk University of Foreign Studies and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 65 (507,675)

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early retirement, mandatory retirement, optimal stopping in finite horizon, consumption and investment, life insurance, parabolic free-boundary problem, non-linear integral equation

7.

Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model

Number of pages: 42 Posted: 06 Dec 2019 Last Revised: 04 Sep 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 58 (536,704)

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Drawdown constraint, Habit formation, Portfolio selection, Singular control problem, von Neumann--Morgenstern utility, Free boundary problem, Two-dimensional problem

8.

Optimal Retirement and Portfolio Selection with Consumption Ratcheting

Number of pages: 47 Posted: 29 Oct 2019 Last Revised: 02 Jan 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 52 (568,967)
Citation 7

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Portfolio selection, Consumption ratcheting, Early retirement option, Singular control problem, Optimal stopping problem

9.

Optimal Finite Horizon Contract with Limited Commitment

forthcoming in Mathematics and Financial Economics
Number of pages: 47 Posted: 22 Jun 2020 Last Revised: 09 Sep 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 47 (588,967)
Citation 1

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Optimal contract, Limited commitment, Principal-Agent problem, Optimal stopping problem, Singular control problem

10.

Continuous-Time Portfolio Selection: A Cursory Survey

Number of pages: 20 Posted: 17 Dec 2019 Last Revised: 07 Feb 2020
Se Yung Bae, Junkee Jeon and Hyeng Keun Koo
Ajou University - Department of Financial Engineering, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 46 (594,117)

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Portfolio Selection, Dynamic Programming, Maximum Principle, Dual Martingale Approach, Retirement, Protection of Spending Power

11.

Consumption Heterogeneity, Business Cycle, and Asset Pricing

Number of pages: 52 Posted: 25 Jul 2022
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 41 (621,442)

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Consumption Heterogeneity, Consumption-wealth Ratio, Time-varying Risk Aversion, Predictability, Risk-Return, Sharpe Ratio, Intertemporal Loss Aversion,

12.

Optimal Annuitization with Early Retirement: A Martingale-Dual Approach

Forthcoming, Journal of Risk Management (리스크관리연구)
Number of pages: 33 Posted: 15 Apr 2022 Last Revised: 09 Jun 2022
Junkee Jeon and Seyoung Park
Kyung Hee University - Department of Applied Mathematics and Nottingham University Business School
Downloads 36 (650,599)

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optimal annuitization, early retirement, martingale method, variational inequality

13.

Labor Supply Flexibility and Portfolio Selection with Early Retirement Option

Number of pages: 40 Posted: 10 Aug 2022 Last Revised: 02 Jan 2023
Junkee Jeon and Jehan Oh
Kyung Hee University - Department of Applied Mathematics and Department of Mathematics, Kyungpook National University.
Downloads 29 (697,331)

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portfolio selection, labor supply, early retirement, optimal stopping problem, free boundary problem, stochastic wage rate

14.

A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints

Number of pages: 36 Posted: 29 Aug 2022
Junkee Jeon, Hyeng Keun Koo and Minsuk Kwak
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 24 (735,248)

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dual two-person zero-sum game, optimal retirement, borrowing constraint, general utility, Nash-equilibrium, Hamilton-Jacobi-Bellman quasi-variational inequality

15.

Optimal Consumption and Investment with Welfare Constraints

Number of pages: 50 Posted: 01 Jun 2022 Last Revised: 10 Jan 2023
Junkee Jeon and Minsuk Kwak
Kyung Hee University - Department of Applied Mathematics and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 23 (743,436)

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consumption and investment, welfare constraints, general utility, singular control problem, duality approach, dynamic constraints

16.

Finite Horizon Portfolio Selection with Durable Goods

Number of pages: 28 Posted: 03 Dec 2020 Last Revised: 31 Mar 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 22 (751,448)

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Durable goods, Portfolio selection, Risk Aversion, Variational inequality, Integral equation, Optimal stopping problem

17.

Social Insurance for the Elderly

Number of pages: 45 Posted: 07 Mar 2020
Ajou University - Department of Financial Engineering, Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and The Chinese University of Hong Kong (CUHK), Department of Statistics
Downloads 22 (751,448)

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Social Insurance, Consumption, Portfolio Selection, Retirement, Optimal stopping problem, Duality